Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency (Q5034246): Difference between revisions

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scientific article; zbMATH DE number 7481020

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English	Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency	scientific article; zbMATH DE number 7481020

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instance of

scholarly article

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title

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency (English)

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24 February 2022

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full work available at URL

http://hdl.handle.net/11343/268149

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zbMATH Keywords

endogeneity

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factor models

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heterogeneous coefficients

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information criterion

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penalized method

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smoothly clipped absolute deviation (SCAD)

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MaRDI profile type

MaRDI publication profile

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cites work

Eigenvalue Ratio Test for the Number of Factors

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Inferential Theory for Factor Models of Large Dimensions

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Panel Data Models With Interactive Fixed Effects

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Determining the Number of Factors in Approximate Factor Models

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INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT

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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

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The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).

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Common risk factors in the returns on stocks and bonds

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis

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Nonconcave penalized likelihood with a diverging number of parameters.

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Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models

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Bayesian averaging, prediction and nonnested model selection

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Asymptotic properties of bridge estimators in sparse high-dimensional regression models

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Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

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Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects

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Testing Hypotheses About the Number of Factors in Large Factor Models

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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

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Q4344404

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Asymptotically efficient selection of the order of the model for estimating parameters of a linear process

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Approximate efficiency of a selection procedure for the number of regression variables

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Q4864293

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Forecasting Using Principal Components From a Large Number of Predictors

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Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation

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Model Selection and Estimation in Regression with Grouped Variables

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On the Non-Negative Garrotte Estimator

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Nearly unbiased variable selection under minimax concave penalty

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Adaptive Lasso for Cox's proportional hazards model

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Regularization Parameter Selections via Generalized Information Criterion

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The Adaptive Lasso and Its Oracle Properties

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On the ``degrees of freedom'' of the lasso

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Identifiers

zbMATH Open document ID

1490.62169

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DOI

10.1080/07474938.2015.1092822

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
+Normal rank
@@ Property / cites work @@
+Panel Data Models With Interactive Fixed Effects
@@ Property / cites work: Panel Data Models With Interactive Fixed Effects / rank @@
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
+Normal rank
@@ Property / cites work @@
+Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
+Normal rank
@@ Property / cites work @@
+The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
+Normal rank
@@ Property / cites work @@
+New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis
+Normal rank
@@ Property / cites work @@
+Nonconcave penalized likelihood with a diverging number of parameters.
+Normal rank
@@ Property / cites work @@
+Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
+Normal rank
@@ Property / cites work @@
+Bayesian averaging, prediction and nonnested model selection
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of bridge estimators in sparse high-dimensional regression models
+Normal rank
@@ Property / cites work @@
+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
+Normal rank
@@ Property / cites work @@
+Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
+Normal rank
@@ Property / cites work @@
+Testing Hypotheses About the Number of Factors in Large Factor Models
+Normal rank
@@ Property / cites work @@
+Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
+Normal rank
@@ Property / cites work @@
+Q4344404
@@ Property / cites work: Q4344404 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
+Normal rank
@@ Property / cites work @@
+Approximate efficiency of a selection procedure for the number of regression variables
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
+Normal rank
@@ Property / cites work @@
+Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
+Normal rank
@@ Property / cites work @@
+Model Selection and Estimation in Regression with Grouped Variables
+Normal rank
@@ Property / cites work @@
+On the Non-Negative Garrotte Estimator
@@ Property / cites work: On the Non-Negative Garrotte Estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Nearly unbiased variable selection under minimax concave penalty
+Normal rank
@@ Property / cites work @@
+Adaptive Lasso for Cox's proportional hazards model
+Normal rank
@@ Property / cites work @@
+Regularization Parameter Selections via Generalized Information Criterion
+Normal rank
@@ Property / cites work @@
+The Adaptive Lasso and Its Oracle Properties
@@ Property / cites work: The Adaptive Lasso and Its Oracle Properties / rank @@
+Normal rank
@@ Property / cites work @@
+On the ``degrees of freedom'' of the lasso
@@ Property / cites work: On the ``degrees of freedom'' of the lasso / rank @@
+Normal rank
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+Publication:5034246